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How Well Do Classical Credit Risk Pricing Models Fit Swap Transaction Data?

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Author Info
Hugues Pirotte () (Centre Emile Bernheim, Solvay Business School, Université Libre de Bruxelles, Brussels)
Didier Cossin (HEC , Université de Lausanne, Suisse.)

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Abstract

Currency and interest rate swaps are subject to a complex, two-sided default risk. Several theoretical papers have recently addressed the problem of pricing swap credit risk. We implement a recent credit risk pricing model in order to attempt to evaluate a line of research in theoretical credit risk analysis. We compare the models analytical results to actual transaction data thanks to a unique academic database on swap transaction data.

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File URL: http://www.solvay.edu/EN/Research/Bernheim/documents/wp98001.pdf
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File Function: First version, 1998
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Publisher Info
Paper provided by Université Libre de Bruxelles, Solvay Business School, Centre Emile Bernheim (CEB) in its series Working Papers CEB with number 98-001.RS.

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Date of creation: Mar 1998
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Handle: RePEc:sol:wpaper:98-001

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Related research
Keywords: derivatives swaps credit risk transaction data model calibration.

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Find related papers by JEL classification:
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

Cited by:
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  1. Hugues Pirotte, 1999. "Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates," Working Papers CEB 99-001.RS, Université Libre de Bruxelles, Solvay Business School, Centre Emile Bernheim (CEB). [Downloadable!]
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